Closed-form solutions to discrete-time portfolio optimization problems

MaRDI QIDQ2966212zbMATH OpenFDO

Authors Mathias Göggel, Martin Bohner

Publication date 6 March 2017

zbMATH Keywords

discrete-time financial marketmean-varianceportfolio optimization

Mathematics Subject Classification ID

Discrete version of topics in analysis (39A12) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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